Finance

D Move Probability $62.34 -0.52 (-0.8%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to D Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
30.7%
Stock touched +5.0% ($65.46) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
12.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.44x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.1%
$59.18 — $65.51

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-10.9% to -9.6%: 3 occurrences (0.6%) -10.2% -9.6% to -8.2%: 3 occurrences (0.6%) -8.2% to -6.9%: 6 occurrences (1.2%) -6.9% to -5.6%: 12 occurrences (2.4%) -6.2% -5.6% to -4.2%: 22 occurrences (4.3%) -4.2% to -2.9%: 53 occurrences (10.4%) -2.9% to -1.6%: 65 occurrences (12.8%) -2.3% -1.6% to -0.3%: 50 occurrences (9.8%) -0.3% to +1.1%: 61 occurrences (12.0%) +1.1% to +2.4%: 63 occurrences (12.4%) 1.7% +2.4% to +3.7%: 64 occurrences (12.6%) +3.7% to +5.1%: 43 occurrences (8.5%) +5.1% to +6.4%: 35 occurrences (6.9%) 5.7% +6.4% to +7.7%: 16 occurrences (3.1%) +7.7% to +9.0%: 4 occurrences (0.8%) +9.0% to +10.4%: 8 occurrences (1.6%) 9.7%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 30.7% 12.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.1% Adjusts normal bell curve for real-world skewness (0.18) and kurtosis (5.25).
Standard Normal (Black-Scholes / GBM) 33.7% 16.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 26.4% 11.2% Filters for historical windows that started with volatility similar to current 20-day HV (295 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 21.6%
  • Recent 20-Day HV: 15.2%
  • Parkinson Intraday Volatility: 18.9%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +5.4%
  • Bottom 10% Move (10th percentile): -4.1%
  • Max Historical Gain (14d): +10.4%
  • Max Historical Loss (14d): -10.9%